Stochastic Financial Models

By Douglas Kennedy

Book Overview

Developed from the esteemed author's advanced undergraduate and graduate courses at the University of Cambridge, this text provides a hands-on, sound introduction to mathematical finance. Assuming no prior knowledge of stochastic calculus or measure-theoretic probability, the author includes the relevant mathematical background as well as many exercises with solutions. He first presents the classical topics of utility and the mean-variance approach to portfolio choice. Focusing on derivative pricing, the text then covers the binomial model, the general discrete-time model, Brownian motion, the Black-Scholes model, and various interest-rate models.

• Format: Hardcover
• Language: English
• ISBN: 1420093452
• ISBN13: 9781420093452
• Release Date: January 2010
• Publisher: CRC Press
• Length: 272 Pages
• Weight: 1.20 lbs.
• Dimensions: 0.8" x 6.2" x 9.3"